Is the volume turned up to an audible level? Do you have the mute button switched on? Are you using the default messaging app or a 3rd party messaging app? Are you jailbroken? The steps given by Tony the Tiger should have worked for you.
Last time I saw this asked it was the mute button. Otherwise in your Settings - Sounds is the "Ringer and Alerts" volume turned up? Also try changing the tone you may have a silent one selected.